Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - Volkswirtschaftliche Fakultät, … - 2012
In this paper we examine the extent of time-varying correlations between stock markets returns and policy uncertainty based on a newly introduced uncertainty index by Baker et al. (2012). We identify several empirical regularities: (1) the dynamic correlations of policy uncertainty and stock...